A survey-based estimation of the Swiss franc forward term premium

Swiss Journal of Economics and Statistics

Table 1 Trading activity

1st	2nd	3rd	4th	5th	6th	7th	8th
4826	5937	4482	3159	1765	1016	585	415

The table reports the average daily trading activity (number of trades) in CHF LIBOR futures. LIBOR futures are based on a CHF 1 million notional. Averages are reported for International Monetary Market (IMM) dates (columns) and are based on business days during the year 2016. IMM dates are the third Wednesday of March, June, September, and December of each year